I tried using an ATX PSU to power an arduino this evening.
I've got a PSU tester where you plug the main power header (that normally goes in the mobo) into it and it fires up the PSU and has a series of indicators for whether it's good or not. It runs fine on that, all lights are green.
I've had a google and found out I need to connect the green wire to ground (short pins 14 and 15 - I think. I've closed the relevant window put it's the green one with a black one next to it).
However, when I do this, the PSU goes for a few seconds then turns off again. I tried it with the arduino plugged into it, same thing happened.
personally, not disclosing the possibility of it not working due to common knoledge is irresponsible and almost dishonest of sparkfun, but I know they dont care, as their site is full of "screw you's" and "gotchas"